Our party originally used first person, as it was most natural. Our DM decided he wanted us to try using third person in our current campaign, as he had some psychological reasons why it'd help us role play a distinct individual. It's actually been somewhat helpful. More importantly, it gives me freedom to role play my stupidly aggressive fighter as stupidly aggressive, and the other players know that it's not ME who's being stupid, I'm just role playing my character.
